We study the orbits, tidal heating and mass loss from satellites around close-in gas giant exoplanets. The focus is on large satellites which are potentially observable by their transit signature. We argue that even Earth-size satellites around hot Jupiters can be immune to destruction by orbital decay; detection of such a massive satellite would strongly constrain theories of tidal dissipation in gas giants, in a manner complementary to orbital circularization. The star's gravity induces significant periodic eccentricity in the satellite's orbit. The resulting tidal heating rates, per unit mass, are far in excess of Io's and dominate radioactive heating out to planet orbital periods of months for reasonable satellite tidal Q. Inside planet orbital periods of about a week, tidal heating can completely melt the satellite. Lastly, we compute an upper limit to the satellite mass loss rate due to thermal evaporation from the surface, valid if the satellite's atmosphere is thin and vapor pressure is negligible. Using this upper limit, we find that although rocky satellites around hot Jupiters with orbital periods less than a few days can be significantly evaporated in their lifetimes, detectable satellites suffer negligible mass loss at longer orbital periods.